This isn't a bug so much as it is a limitation of the environment in which Edit and Continue operates. EnC can modify IL, but not types--that is, it can't add fields or methods to a type, remove a type, or create a new one. Lambda expressions that capture local variables can result in the creation of hidden types under the hood. Modifying a method containing a lambda expression could change the locals that are captured, which would require changing the hidden type. The same limitation has existed with anonymous methods since C# 2.0 and VS 2005.
EnC is not allowed in methods that utilize anonymous types or query expressions for similar reasons. That being said, we have no intention of abandoning EnC. We will be looking to improve the capabilities of EnC as we move forward; we just can't support these scenarios right now.
-Tom Meschter
Software Dev, C# IDE